Hackmann, D.; Kuznetsov, A. - In: Finance and Stochastics 18 (2014) 4, pp. 825-844
<Para ID="Par1">One method to compute the price of an arithmetic Asian option in a Lévy driven model is based on an exponential functional of the underlying Lévy process: If we know the distribution of the exponential functional, we can calculate the price of the Asian option via the inverse Laplace...</para>
